Forecasting aggregated moving average processes with an application to the euro area real interest rate

DOI10.1002/FOR.1227MaRDI QIDQ4687250zbMATH OpenOpenAlexFDO

Authors Giacomo Sbrana

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1227

zbMATH Keywords

aggregationARMA processesreal interest ratevector moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(1)

• Comparing aggregate and disaggregate forecasts of first order moving average models

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